Which continuous-time model is most appropriate for exchange rates?
Deniz Erdemlioglu, Sébastien Laurent, Christopher J. Neely
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Erdemlioglu, Deniz ; Laurent, Sébastien ; Neely, Christopher J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, 2, p. 256-268
|
| Subject: | Exchange rates | Brownian motion | Volatility | Jumps | Intraday periodicity | High-frequency data | Volatilität | Wechselkurs | Exchange rate | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.09.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011586923